We apply Dykstra's alternating projection algorithm to the constrained least-squares matrix problem that arises naturally in statistics and mathematical economics. In particular, we are concerned with the problem of finding the closest symmetric positive definite bounded and patterned matrix, in the
A New Algorithm for Constrained Matrix Least Squares Approximations
β Scribed by Wei-Yong Yan; John B. Moore
- Book ID
- 110386868
- Publisher
- Springer US
- Year
- 2000
- Tongue
- English
- Weight
- 93 KB
- Volume
- 98
- Category
- Article
- ISSN
- 0254-5330
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
ln a recent paper, the authors applied Dykstra's alternating projection algorithm to solve constrained least-squares n x n matrix problems. We extend these results in two different directions. First, we make use of the singular value decomposition to solve now constrained leastsquares rectangular m
In this paper a modification of the standard algorithm for non-negativity-constrained linear least squares regression is proposed. The algorithm is specifically designed for use in multiway decomposition methods such as PARAFAC and N-mode principal component analysis. In those methods the typical si